First of all, doesn´t the wire basically position itself when winding if you have correct tension in the wire and a tiny bit of lag in the guide?
Anyway, your assumtion seems wrong to me. That accuracy will not add up, i.e it doesn´t mean that after ten turns you will be 6.5mil off and after 20 tuns you will be 13mil off, it means you will be +/-0.65mil off at any time, but all the way from start to end about the same. And since this is about 1/10th of the wire thicknes you should be ok.

@electronice123, you might want to consider using one of the 'linear stepper motors' for the wire guiding drive. They have the threaded part built in to them, and are much more accurate than a screw thread. http://www.haydonkerk.com/?TabId=66 There are many companies making making them, the link is just one of them. I got mine on Ebay.

From what I recollect from using a parallel port in windows to control motors, it is a bad idea. For anything faster then a few steps per second it is useless, as windows often gives focus to other tasks and halts the execution of your control program, which results in missed steps.

I made my CNC mill with ATmega controller which is fed over USB to serial converter, this makes the operation much more predictable.

If you don´t require the turns to be spaced apart, why not try using the stepper just for the spindle and guiding the wire manually? I think the mechanics of the setup is the most important part, so I would start with making a few coils manually like that and decide what needs to be done to make it work right.
For example this vid looks nice http://www.youtube.com/watch?feature=player_embedded&v=uX2iCRdSFmI

There is really nothing wrong with what you started with..
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Timing issues with windows should not be a problem at all for this application.
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As long as the distance per step is less than the wire diameter you are good to go..

Why not just get a small mini lathe like a 7X10 from harbor freight or EBay and make a lathe winder and use the feed to wind the armature. You can get them on ebay fairly cheap and some even have a tach, so you could add a counter so you get your winding ratios correct. No need to build one if you dont have to. Otherwise all of the boxes, boards, motors, drivers, fixtures, jigs, castings and stuff will probably cost more than the lathe and be a system that no one besides yourself can get to operate.

Maybe I'm doing my math wrong. 36awg wire with heavy insulation is .006" dia. So if the accuracy is .00065" then wouldn't every 9th turn result in an overlap? .00065/.006=9.2 turns?
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Yeah I think you misunderstood a little bit.

The positioning motor needs to move an *average* of 0.006" per every turn of the coil.

The positioning motor moves in steps much smaller than that, ie steps of 0.00065".

The controlling software does math and always picks the closest positioning step to the perfect desired position. So there is no accumulated error, error at any time will be less than half a positioning step, and the average positioning speed will be perfect over time.

As for wire overlaps, those are most likely the result of setting the positioning to the wrong speed, or of bad mechanicals, specifically wire tensioning.

For good results you need to have really good wire tensioning, that you can adjust finely, and will be reliable at exactly that tension. If the tension varies up and down you will get some ugly results.